Recursive Estimation of GARCH Models

DOI10.1080/03610910600880328zbMath1105.62081OpenAlexW2034060029MaRDI QIDQ3424299

Abdelhakim Aknouche, Hafida Guerbyenne

Publication date: 15 February 2007

Published in: Communications in Statistics - Simulation and Computation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1080/03610910600880328

zbMATH Keywords

martingale convergence theoremGARCH processon-line estimationtwo-stage pseudolinear regressiontwo-stage recursive least squares

Mathematics Subject Classification ID

Asymptotic properties of parametric estimators (62F12) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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